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Guide to the DAX Equity Indices Page 1 STOXX Ltd. Version 10.1.1 September 2019 Guide to the DAX Equity Indices Page 1 Guide to the DAX Equity Indices Formerly known as Guide to the Equity Indices of Deutsche Börse AG Version 10.1 August 2019 STOXX Ltd. Version 10.1 August 2019 Guide to the DAX Equity Indices Page 2 General Information With effect to August 2019 Deutsche Börse AG has ended and therefore transferred the administration of the DAX Equity Indices formerly known as the Equity Indices of Deutsche Börse AG to its affiliate STOXX Ltd. STOXX Ltd. develops, creates and publishes Indices for certain uses, e.g., the issuance of Financial Instruments. In general, an Index is any figure published or made available to the public that is regularly determined by the application of a formula (or any other method of calculation, or by an assessment) on the basis of the value of one or more underlying assets or prices, including estimated prices, actual or estimated interest rates, quotes and committed quotes, or other values or survey. All DAX Equity Indices are governed by the respective index methodology applicable to the respective index or index family. Purpose of this Guide “Guide” is to provide for a comprehensible index methodology in continuity of the former Guide to the Equity Indices of Deutsche Börse AG as last amended with effect from 3 December 2018 (version 9.2.3). In order to ensure the highest quality of each of its indices, STOXX Ltd. exercises the greatest care when compiling and calculating equity indices on the basis of the rules set out in this Guide. However, STOXX Ltd. cannot guarantee that the various indices, or the various ratios that are required for index compilation and computation purposes, as set out in this Guide, are always calculated free of errors. STOXX Ltd. accepts no liability for any direct or indirect losses arising from any incorrect calculation of such indices or ratios. The DAX Equity Indices in no way represent a recommendation for investment. In particular, the compilation and calculation of the various indices shall not be construed as a recommendation of STOXX Ltd. to buy or sell individual securities, or the basket of securities underlying a given index. www.dax-indices.com STOXX Ltd. Version 10.1 August 2019 Guide to the DAX Equity Indices Page 3 Contents 1 Introduction ........................................................................................... 9 1.1 Principles for Index Calculation 9 1.2 Advisory Body 9 1.3 Discretion 9 1.3.1 Exercise of Discretion 9 1.4 Index Termination Policy 11 2 Determination of Index Parameters .......................................................... 12 2.1 Ex-Dividend Date 12 2.2 Fixed Holdings 12 2.3 Free Float 12 2.4 Free Float Market Capitalisation 13 2.5 Share Capital 14 ® 2.6 Main Focus of Trade on Xetra 14 2.7 Legal Headquarters 14 2.8 Operating Headquarters 14 2.9 Market Capitalisation 14 2.10 Order Book Volume 14 2.11 Sector Affiliation 14 ® 2.12 XLM – Xetra Liquidity Measure 15 3 General Index Information ...................................................................... 16 3.1 Selection Indices 18 3.2 All Share Indices 20 3.3 Sector Indices 21 3.4 International Indices 21 3.5 Index-Based Calculation Products 22 3.5.1 X-Indices 22 3.5.2 Late/Early Indices 22 4 Regular Index Review ............................................................................ 23 4.1 Selection Indices 23 4.1.1 DAX, MDAX, SDAX and TecDAX 23 4.1.2 General Standard Index 30 4.1.3 Scale 30 Index 30 4.1.4 DAX ex Financials Index 30 4.1.5 DAX ex Financials 30 Index 31 4.1.6 ÖkoDAX 31 4.2 All Share Indices 32 4.2.1 Addition 32 4.2.2 Deletion 32 4.3 Sector Indices 32 4.3.1 Addition 33 4.3.2 Deletion 33 5 Extraordinary Index Review .................................................................... 34 5.1 Selection Indices 34 www.dax-indices.com STOXX Ltd. Version 10.1 August 2019 Guide to the DAX Equity Indices Page 4 5.1.1 Insolvency of Companies 34 5.1.2 Breach of the Basis Criteria 34 5.1.3 Conversion of Preferred Shares into Ordinary Shares 34 5.1.4 Extraordinary Free Float Adjustments 35 5.1.5 Adjustments in the Case of Mergers and Acquisitions 35 5.1.6 Conversion into Tendered Shares 36 5.2 All Share Indices 36 6 Calculation ........................................................................................... 37 6.1 Index Formulas 37 6.1.1 Index Formula for free-float market capitalisation weighted indices 37 6.1.2 Index Formula for Market Cap-Weighted Indices 38 6.1.3 Index Formula for Equally Weighted Indices 38 6.1.4 Specifics of Derived Indices 39 6.2 Index Formula for X-Indices 39 6.2.1 Calculation of X-DAX 39 6.2.2 Calculation of X-MDAX and X-TecDAX 39 6.3 Calculation Details 40 6.3.1 Basis of Calculation 40 6.3.2 Daily Settlement Indices 41 6.3.3 Currency Conversion 41 6.3.4 Prices Used, Calculation Frequency and Start 41 6.3.5 Computational Accuracy 42 6.3.6 Index Flags and Corrections 42 6.4 Calculation Correction 43 6.4.1 Rule-based Correction 43 6.4.2 Non-rule based Correction 43 6.4.3 Notifications 44 7 Chaining .............................................................................................. 45 7.1 Chaining for Free Float Market Cap-Weighted Indices 45 7.1.1 Regular Chaining 45 7.1.2 Unscheduled Chaining 46 7.1.3 Adjustment during Unscheduled Chaining 47 7.2 Chaining for Market Cap-Weighted Indices 47 7.3 Chaining for Equally Weighted Indices 47 7.4 Capping 48 8 Adjustments – Corporate Actions ............................................................. 50 8.1 Distributions 50 8.1.1 Cash Dividends and Other Distributions 50 8.1.2 Stock Dividends 51 8.1.3 Distributions > 10 Percent of Market Capitalisation 51 8.2 Changes in Share Capital 52 8.2.1 Capital Increases 52 8.2.2 Capital Reductions 52 8.3 Nominal Value Changes and Share Splits 53 8.4 Spin-offs 53 www.dax-indices.com STOXX Ltd. Version 10.1 August 2019 Guide to the DAX Equity Indices Page 5 8.5 Subscription Rights on Equity 54 8.5.1 Subscription Rights on Other Share Classes 54 8.6 Subscription Rights On Fixed-Income Instruments and Instruments with Embedded Options 55 8.6.1 Subscription Rights on Profit-Participation Certificates 55 8.6.2 Subscription Rights on Bonds 56 8.6.3 Subscription Rights on Instruments with Embedded Options 56 8.6.4 Subscription Rights on Profit-Participation Certificates with Warrants 56 8.6.5 Subscription Rights on Bonds with Warrants or Convertible Bonds 58 9 Limitations ........................................................................................... 59 10 Methodology Review .............................................................................. 60 10.1 Frequency of Review 60 10.2 Review Procedure 60 10.2.1 Initiation of Methodology Review 60 10.2.2 Decision and Escalation 60 10.3 Material Changes with Consultation 61 10.4 Non-Material Changes without Consultation 62 11 Appendix ............................................................................................. 64 11.1 Historical Data 64 11.2 Usage of Index Data 64 11.3 Calendar of Publications 64 11.4 Sector classification 65 11.5 Reference data 68 11.6 History of Amendments to the Rules and Regulations 74 11.7 Contact 77 www.dax-indices.com STOXX Ltd. Version 10.1 August 2019 Guide to the DAX Equity Indices Page 6 History of Amendments to the Rules and Regulations All amendments listed with effect prior to July 2019 are amendments to the Rules and Regulations of the former Equity Indices of Deutsche Börse AG. Amendments listed as of August 2019 are amendments to the Rules and Regulations of STOXX Ltd in continuation of the Rules and Regulations of the former Equity Indices of Deutsche Börse AG. - Creation of Version 10.1 effective Clarifications relating to EU Benchmark Regulation of former 16/08/2019 - version 9.2.4 - Changes relating to the transfer of index administration to STOXX Ltd. - Inclusion of the ÖkoDAX into Equity Guide in Chapter 4.1.6 effective - Creation of version 9.2.4: 26/06/2019 - Adoption of chapter 8.4 Spin-offs to consider “multiple spin- offs” - Adjustment of references concerning family ownership in chapter 2.3 Free Float due to the new Market Abuse Regulation (MAR) effective for index - Creation of version 9.2.3: calculation as of - Removal of 2-months Euribor from calculation of X-indices December 2018 effective - Creation Version 9.2.2: 23/10/2018 - Change of the logic for timing of the advisory board meeting - Include cut-off time at cut-off date for creation of the ranking list - Rule Clarification chapter 4.1.1.2: Inclusion in the Ranking List in the event of several share classes - Deletion of chapter 4.1.1.4 “Transition Rule” and deletion of note about the relevance of the Index Guide/ Transition rules - Reintegration of the sequential production of the ranking list - Correction of wording for X-Indices - Clarification of chaining for equally weighted indices effective - Creation of version 9.2.1: 24/09/2018 - Termination of calculation and dissemination of Midcap Market Index effective - Creation of version 9.2.0: 31/08/2018 - Addition of note about the relevance of the Index Guide / transition rules - Addition of chapter 4.1.1.4: Transition rules www.dax-indices.com STOXX Ltd. Version 10.1 August 2019 Guide to the DAX Equity Indices Page 7 effective - Creation of version 9.1.0: 05/06/2018 - Launch of DAX Net Return CHF Index - Chapter 9.6: Inclusion of DAX Currency Variants effective for index - Creation of Version 9.0.0 calculation as of - Change of index methodology for MDAX, SDAX, TecDAX and September derived indices (e.g.
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